(Sorry I can't reply in Italian - my grasp of the language isn't robust enough.)
Umm, by "selling to a US market", I'm assuming that means you live in Italy? I can't give specific answers (and will gladly point out that taking legal/financial advice from an AWer shouldn't stop you from asking a professional's opinion), but from what I can gather, here's how it would work:
If the money is being earned through an American company, then you would need to acknowledge that with the IRS. For instance, if you self-publish on Amazon, which is an American-owned company, then you need to pay taxes to America on your earnings-from-Amazon. So to extrapolate from that, I'd imagine that if a publisher was American-owned, then yes, the IRS would come into it in some way.
However, I seem to recall hearing that if you have an agent, then they operate as something akin to a middle-man. Like, if your agent is in Italy with you, then the fact that they handle your writing income (in order to take their cut) and then pay you, well, then on your end I would assume it means you're earning within your own country.
No idea about PayPal or bank transfers... I've heard AWers talking about being paid by PayPal, and I've heard other AWers talking about being paid by a cheque mailed to them. Not sure about the bank transfers.
My best advice, however, would be to find someone who knows about international tax law. (Many accountants are at least vaguely knowledgeable of such things - usually at least one per small firm.)
Anyway, hope that helps. Good luck with your writing, welcome to AW, and viva l'italia!